How leading firms are tackling FRTB regulatory changes and overcoming implementation challenges

The panel

  • Robbie Mouat, Principal quantitative analyst, ActiveViam
  • Suman Datta, Head of portfolio, Quantitative research, Lloyds Bank
  • Hany Farag, Former senior adviser, Head of modelling and methodology, Capital markets risk management, CIBC
  • Azar Khurshid, Director, Global market risk management, Mizuho
  • Moderator: Tom Osborn, Desk editor, Risk.net

The January 2019 final standard of the Fundamental Review of the Trading Book (FRTB) has taken more than six years to develop and has included several impact studies and consultations. The Basel Committee on Banking Supervision’s most recent paper makes important changes to the rules, reflecting on numerous proposals – particularly regarding non-modellable risk factors and profit and loss attribution approaches.

The intention of these new stipulations is to overhaul how financial institutions perceive the risk of the stocks, bonds, commodities and assets they hold in the short term so they can facilitate client trading. The amendments have been made, in part, because of a fear of the scale of implementation costs to banks, which are thought to run into the millions. How are leading firms keeping up to speed with FRTB changes and implementation in the lead-up to 2022? 

Key topics discussed:  

  • The impact changes to FRTB will have on banks
  • Quantitative impact study changes in the lead-up to 2022 
  • Beyond regulatory requirements – employing robust operational capital management tools to maintain compliance 
  • How banks can immediately measure capital allocation and the impact of new trades
  • How banks can decompose the calculations down to trade level and allow institutions to effectively measure the cost of the increased capital of model rejection 
  • The key takeaways for banks – enabling robust implementation to remain compliant
  • LinkedIn  
  • Save this article
  • Print this page  

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an indvidual account here: